| Metric | Classic 60/40 | Strategy |
|---|---|---|
| Risk-Free Rate | 3.0% | 3.0% |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 11,321.68% | 8,628.73% |
| CAGR﹪ | 9.34% | 8.79% |
| UPI | 1702.32 | 1460.46 |
| Sharpe | 0.86 | 0.99 |
| ROMaD | 0.26 | 0.35 |
| Prob. Sharpe Ratio | 99.9% | 100.0% |
| Smart Sharpe | 0.84 | 0.97 |
| Sortino | 1.22 | 1.4 |
| Smart Sortino | 1.19 | 1.37 |
| Sortino/√2 | 0.86 | 0.99 |
| Smart Sortino/√2 | 0.84 | 0.97 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -35.56% | -24.8% |
| Longest DD Days | 1520 | 1072 |
| Volatility (ann.) | 12.53% | 9.87% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.26 | 0.35 |
| Skew | -0.47 | -0.31 |
| Kurtosis | 19.33 | 7.23 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.04% | 0.03% |
| Expected Yearly | 0.04% | 0.03% |
| Kelly Criterion | 8.12% | 10.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.04% | -0.82% |
| Expected Shortfall (cVaR) | -1.04% | -0.82% |
| Max Consecutive Wins | 15 | 100 |
| Max Consecutive Losses | 10 | 32 |
| Gain/Pain Ratio | 0.18 | 0.24 |
| Gain/Pain (1M) | 1.08 | 1.33 |
| Payoff Ratio | 0.98 | 0.82 |
| Profit Factor | 1.18 | 1.24 |
| Common Sense Ratio | 1.22 | 1.29 |
| CPC Index | 0.63 | 0.6 |
| Tail Ratio | 1.03 | 1.04 |
| Outlier Win Ratio | 3.56 | 5.37 |
| Outlier Loss Ratio | 3.58 | 4.25 |
| MTD | 1.4% | 0.39% |
| 3M | 8.3% | 2.82% |
| 6M | 8.27% | 3.09% |
| YTD | 2.3% | -2.02% |
| 1Y | 12.93% | -1.84% |
| 3Y (ann.) | 4.44% | -7.02% |
| 5Y (ann.) | 8.63% | 1.82% |
| 10Y (ann.) | 8.15% | 1.78% |
| All-time (ann.) | 9.34% | 8.79% |
| Best Day | 9.86% | 4.44% |
| Worst Day | -11.69% | -5.11% |
| Best Month | 9.86% | 4.44% |
| Worst Month | -11.69% | -5.11% |
| Best Year | 9.86% | 4.44% |
| Worst Year | -11.69% | -5.11% |
| Avg. Drawdown | -1.24% | -1.58% |
| Avg. Drawdown Days | 22 | 34 |
| Recovery Factor | 14.14 | 18.74 |
| Ulcer Index | 0.07 | 0.06 |
| Serenity Index | 3.87 | 3.6 |
| Avg. Up Month | 0.44% | 0.38% |
| Avg. Down Month | -0.45% | -0.46% |
| Win Days | 54.56% | 59.37% |
| Win Month | 54.56% | 59.37% |
| Win Quarter | 72.77% | 72.64% |
| Win Year | 54.56% | 59.37% |
| Beta | - | 0.3 |
| Alpha | - | 0.09 |
| Correlation | - | 38.7% |
| Treynor Ratio | - | 28302.85% |
| Year | Classic 60/40 | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1971 | 8.46 | 2.30 | 0.27 | - |
| 1972 | 13.73 | 12.83 | 0.93 | - |
| 1973 | -7.48 | 1.82 | -0.24 | + |
| 1974 | -15.44 | 9.03 | -0.58 | + |
| 1975 | 25.21 | 7.28 | 0.29 | - |
| 1976 | 20.26 | 21.69 | 1.07 | + |
| 1977 | -2.57 | 2.90 | -1.13 | + |
| 1978 | 5.11 | -1.27 | -0.25 | - |
| 1979 | 12.00 | 10.97 | 0.91 | - |
| 1980 | 19.71 | 11.96 | 0.61 | - |
| 1981 | 0.95 | 1.51 | 1.60 | + |
| 1982 | 25.05 | 24.78 | 0.99 | - |
| 1983 | 16.91 | 19.29 | 1.14 | + |
| 1984 | 10.00 | 11.87 | 1.19 | + |
| 1985 | 27.86 | 25.88 | 0.93 | - |
| 1986 | 18.55 | 21.81 | 1.18 | + |
| 1987 | 4.91 | 12.97 | 2.64 | + |
| 1988 | 13.87 | 13.41 | 0.97 | - |
| 1989 | 24.87 | 17.59 | 0.71 | - |
| 1990 | 1.44 | -1.85 | -1.28 | - |
| 1991 | 24.56 | 23.90 | 0.97 | - |
| 1992 | 8.00 | 13.36 | 1.67 | + |
| 1993 | 10.50 | 12.17 | 1.16 | + |
| 1994 | -0.67 | -3.45 | 5.13 | - |
| 1995 | 29.88 | 22.48 | 0.75 | - |
| 1996 | 14.60 | 10.46 | 0.72 | - |
| 1997 | 23.85 | 9.00 | 0.38 | - |
| 1998 | 21.06 | 15.44 | 0.73 | - |
| 1999 | 11.51 | 13.16 | 1.14 | + |
| 2000 | -1.43 | -14.41 | 10.08 | - |
| 2001 | -3.93 | 9.66 | -2.46 | + |
| 2002 | -9.50 | 13.83 | -1.46 | + |
| 2003 | 18.36 | 35.93 | 1.96 | + |
| 2004 | 7.95 | 5.14 | 0.65 | - |
| 2005 | 3.88 | -2.95 | -0.76 | - |
| 2006 | 10.93 | 18.38 | 1.68 | + |
| 2007 | 6.16 | 15.49 | 2.51 | + |
| 2008 | -21.30 | 13.06 | -0.61 | + |
| 2009 | 17.78 | 7.13 | 0.40 | - |
| 2010 | 11.95 | 8.66 | 0.72 | - |
| 2011 | 4.83 | 3.67 | 0.76 | - |
| 2012 | 11.24 | 11.34 | 1.01 | + |
| 2013 | 17.47 | -0.45 | -0.03 | - |
| 2014 | 10.51 | 1.76 | 0.17 | - |
| 2015 | 1.21 | -1.78 | -1.47 | - |
| 2016 | 8.25 | 0.05 | 0.01 | - |
| 2017 | 14.16 | 3.61 | 0.25 | - |
| 2018 | -2.49 | 2.48 | -1.00 | + |
| 2019 | 22.07 | 9.58 | 0.43 | - |
| 2020 | 15.20 | 19.62 | 1.29 | + |
| 2021 | 15.73 | 0.40 | 0.03 | - |
| 2022 | -15.90 | -10.56 | 0.66 | + |
| 2023 | 16.46 | -1.87 | -0.11 | - |
| 2024 | 2.30 | -2.02 | -0.88 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-03 | 2024-02-16 | -24.80 | 897 |
| 2000-01-04 | 2002-05-20 | -18.45 | 868 |
| 1980-01-22 | 1980-08-06 | -16.66 | 198 |
| 1989-10-10 | 1991-01-30 | -10.96 | 478 |
| 2004-04-05 | 2004-12-22 | -10.59 | 262 |
| 1978-10-12 | 1979-08-09 | -9.91 | 302 |
| 1999-02-01 | 1999-12-17 | -9.86 | 320 |
| 2010-04-30 | 2010-11-03 | -9.82 | 188 |
| 1979-10-03 | 1980-01-17 | -9.78 | 107 |
| 1980-11-21 | 1981-11-13 | -9.60 | 358 |